CHEP — AGFiQ U.S. Market Neutral Value Fund

Data updated: 2020-11-17

CHEP — AGFiQ U.S. Market Neutral Value Fund. Money Market · $678.87K AUM · 1.42% expense ratio. Holdings, fees, performance and SEC filings.

CHEP Fund Overview

CHEP — AGFiQ U.S. Market Neutral Value Fund is a US ETF managed by AGF Investments Trust, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US ETF
Manager: AGF Investments Trust
Category: Money Market
Assets under management: $678.87K
Ticker: CHEP
SEC CIK: 0001479599
SEC series ID: S000033008
Share class ID: C000101797

CHEP Investment Objective and Strategy

AGFiQ U.S. Market Neutral Value Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by AGF Investments Trust.

Investment objective

The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Value Index.

Principal investment strategy

The Fund seeks to track the performance of the Dow Jones U.S. Thematic Market Neutral Value Index (the Target Value Index or Index). The Target Value Index is a long/short market neutral index that is dollar-neutral. As such, it identifies long and short securities positions of approximately equal dollar amounts. The Fund invests at least 80% of its net assets (plus borrowing for investment purposes) in common stock of the long positions in the Target Value Index and sells short at least 80% of the short positions in the Target Value Index. The performance of the Fund will depend on the difference in the rates of return between its long positions and short positions. For example, if the Fund's long positions appreciated more rapidly than its short positions, the Fund would generate a positive return.

If the opposite occurred, the Fund would generate a negative return. In choosing to track a market neutral index, the Fund seeks to limit the effects of general market movements on the Fund. The universe for the Target Value Index is the top 1,000 eligible securities by market capitalization, including real estate investment trusts (REITs), in the Dow Jones U.S. Index (universe). The securities included in the universe are categorized as belonging to one of ten sectors. The Target Value Index identifies approximately the 20% of securities with the highest value ranking within each sector as equal-weighted long positions and approximately the 20% of securities with the lowest value ranking within each sector as equal-weighted short positions. A stock's value ranking within its sector is determined by an equally weighted combination of the following ratios: expected earnings over the next 12 months to price; cash flow over the last 12 months to price; and most recent book value to price.

These ratios seek to identify stocks that may be considered inexpensive (or cheap) relative to other stocks. Thus, cheap stocks with below average valuations within each sector receive higher rankings, and expensive stocks with above average valuations within each sector receive lower rankings. Although the Fund may seek to invest in all of the long and short positions that comprise the Target Value Index in approximately the same weight as they appear in the Index, the Fund may use a sampling strategy to track the performance of the Target Value Index. A sampling strategy involves investing in a representative sample of the long and short positions in the Target Value Index that, collectively, have an investment profile correlated with the Target Value Index. The Fund may invest up to 20% of its assets in instruments, other than the long and short positions in the Target Value Index, that the Adviser believes will help the Fund track the Target Value Index.

Such instruments may include long and short common stocks not in the Target Value Index, derivatives, including swap agreements based on the Target Value Index, and futures contracts on equity indexes, and money market instruments. The Target Value Index, which is compiled by Dow Jones Indexes, is equal-weighted and sector neutral - meaning that at each quarterly reconstitution of the Index, all of the components of the Index are equal-weighted and the number of long and short positions in each sector in the Index approximate the weighting of that sector in the universe. If, between reconstitutions, the value of short positions in the Target Value Index exceeds the value of long positions by an amount that is established by the index provider, the Target Value Index will be rebalanced back to equal weights and sector neutrality.

The Fund is expected to concentrate its investments ( i.e. , hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the Target Value Index is concentrated.

CHEP Costs and Fees

CHEP costs about $142 per $10,000 invested per year in fund expenses.

Net expense ratio: 1.42%
Gross expense ratio: 23.03%
Portfolio turnover: 122%
Brokerage commissions: 11.32 bps of average net assets (SEC N-CEN)

CHEP Cashflows

Over the 12 months to 2020-09, AGFiQ U.S. Market Neutral Value Fund had net inflows of $0, from monthly SEC N-PORT filings.

Month	Net flow
2020-09	$0
2020-08	$0
2020-07	$0
2020-06	$0
2020-05	$0
2020-04	$0

CHEP Debt Constituents

No individual debt constituents are reported in AGFiQ U.S. Market Neutral Value Fund's latest SEC N-PORT filing.

CHEP Prospectus and SEC Filings

Official AGFiQ U.S. Market Neutral Value Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Money Market funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.